Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q4 2021 Earnings Presentation
22 slides from Cherry Hill Mortgage Investment's earnings presentation, Mar 15, 2022
Slide 1: Investor Presentation Fourth Quarter 2021
Investor Presentation Fourth Quarter 2021
Slide 2: Legal Disclaimer
Legal Disclaimer FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, including without limitation references to potential or expected future cash flows, estimated or
Slide 3: Fourth Quarter 2021
Mb BERRIES Fourth Quarter 2021
Slide 4: Fourth Quarter 2021 Highlights
Fourth Quarter 2021 Highlights UNAUDITED Financial Results $8.56 book value per common share1 EAD of $0.32 per share4 5.6% decrease, net of 4Q21 dividend $0.27 dividend per share declared and paid2 2.6% total quarterly economic loss3 Portfolio Update 3.6x leverage ratio for aggregate portfolio 12.
Slide 5: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 1.50% 2.00% 2.50% December 31, 2020 0.1210 0.1650 0.3610 0.6430 0.9130 1.4400 1.6450 $101.050 $103.880
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 10% 14% 13% 13% 14% 16% 15% 1%0% 24% 18% 20% - - - - 15% 11% 9% 75% 18% 75% 35% 42% 39% 39% 40% 50% 50% 89% 72% 76% 77% 68% 25% 25% 48% 43% 43% 42% 36% - - 4Q20 1Q21 2Q21 3Q21 4Q21 4Q20 1Q21 2Q21 3Q21 4Q
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED December 31, 2021 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $21,800 $21,715 $21,641 UPB ($) 12,738,844,291 8,034,433,959 20,773,278,251 $21,600 $21,523 Avg UPB ($'000) 232,839 233,119 232,947 $21,400 WAC 3.50 3.5
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (89% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ ≤ 2.5% $294,989 $298,982 $286,779 3.2% 8 6.6 10.0 3.0% 348,220 350,105 330,856 3.6% 9 10.9 13.0 3.5% 150,850 144,793 140,072 4.2% 35 15.7 14.5 4.0%
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED September 30, 2021 December 31, 2021 RMBS Collateral (ex. TBA): $865,904 RMBS Collateral (ex. TBA): $953,496 $49,428 $45,279 $52,825 $47,609 5% 5% 6% 5% $134,701 $107,278 14% 12% $249,112 $249,084 26% 29% $142,942 $144,407 17% 15% $62,729 $50,572 7
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty 0% Utilization1 Commentary 4% Average REPO cost was 0.14% with a weighted 5% 16% average days remaining to maturity of 38 days 6% 6% 33 REPO relationships established 12% 6% Borrowings with 13 financing counterparties 6% 9% Weighted avera
Slide 11: Hedging Summary
Hedging Summary UNAUDITED Swaps Payer Swaps Receiver Swaps Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to Mat. Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to Mat. x ≤ 3 Years $80,000 0.38% 0.16% 2.0 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 407,000 0.59% 0.18% 3.6 3 > x ≤ 5 Years - -
Slide 12: Appendix
Mb BERRIES Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,402 4.5x $174 $1,231 $1,211 $1,172 $1,077 $217 $212 $219 $1,000 $211 3.0x $1,228 4.0x $500 $1,014 $999 $953 3.4x 3.6x 3.6x $866 1.5x 3.2x - 4Q20 1Q21 2Q21 3Q21 4Q21 - RMBS¹ MSRs 4Q20 1Q21 2Q21 3Q21 4Q21 RMBS Net Int
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield - ($0.04) $0.30 $0.27 $0.27 $0.27 $0.27 $0.27 14% ($0.27) ($0.22) 13% ($0.31) $0.25 ($0.20) 12% $0.20 ($0.40) 11% ($0.92) $0.15 10% ($0.60) $0.10 9% ($0.80) $0.05 8% ($1.
Slide 15: Basis Risk and Interest Rate Sensitivity
Basis Risk and Interest Rate Sensitivity1 UNAUDITED RMBS and MSR Spread (“Basis Risk”) Sensitivity on Current Portfolio -50 bps -25 bps No Change +25 bps +50 bps Basis Risk Sensitivity Estimated Change in NAV $31,185 $15,901 - ($16,837) ($34,053) Proforma NAV as of December 31, 2021 $310,001 $294,71
Slide 16: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets December 31, 2021 December 31, 2020 Assets RMBS, available-for-sale, at fair value (including pledged assets of $892,888 and $1,164,416, respectively) $ 953,496 $ 1,228,251 Investments in Servicing Related Assets, at fair value (including pledged a
Slide 17: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended December 31, Year Ended December 31, 2021 2020 2021 2020 Income Interest income $ 4,529 $ 6,367 $ 14,956 $ 42,841 Interest expense 1,534 1,605 5,768 22,134 Net interest income 2,995 4,762 9,188 20,707 Servicing fee incom
Slide 18: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended December 31, Year Ended December 31, 2021 2020 2021 2020 Net income (loss) $ 6,705 $ 9,043 $ 12,530 $ (53,218) Other comprehensive loss: Unrealized loss on RMBS, available-for-sale, net (8,276) (11,865)
Slide 19: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended December 31, Year Ended December 31, 2021 2020 2021 2020 Net Income (Loss) $ 6,705 $ 9,043 $ 12,530 $ (53,218) + Realized loss (gain) on RMBS, net 1,479 (7,950) (548) 4,640 + Realized loss on derivat
Slide 20: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Year Ended December 31, 2021 Interest income $ 376 $ 14,580 $ - $ 14,956 Interest expense 4,484 1,284 - 5,768 Net interest income (expense) (4,108) 13,296 - 9,188 Servicing fee income 54,15
Slide 21: Abbreviations
Abbreviations UNAUDITED This presentation may include the below abbreviations, which have the following meanings • 30+ DQ – Percentage of loans that are delinquent by 30 days or more • HPA – Home price appreciation • Age (mths) or Loan Age (mths) – Weighted average number of months • LT – Long Term
Slide 22: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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